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Time Switch Options

where

and where

c = Price of European call

p = Price of European put

A = Accumulated amount

S = The spot of the underlying asset

b = The cost of carry

r = The risk free rate

T = Time to expiry of the option

= The time interval

= Volatility of underlying asset's price

m = number of units where option has already fulfilled its condition

 

See Also

oX_TimeSwitch( ) Function

oX_TimeSwitch_Imp( ) Function

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